On 4 August 2006 at 19:26, Jens Hainmueller wrote:
| Why do commonly used estimator functions (such as lm(), glm(), etc.) not
| allow negative case weights? I suspect that there is a good reason for this.
That came up on r-sig-finance a little while ago. As usual, Gabor won the
contest for most precise and concise answer with:
[..] At any rate, note that if the weights can be negative then the sum of
squares to be optimized is no longer a convex function of the coefficients
so we really don't have a conventional least squares model and uniqueness
and existence have possibly different answers.
See the r-sig-finance archives for April 2006 and a thread entitled 'negative
weights'.
Hth, Dirk
--
Hell, there are no rules here - we're trying to accomplish something.
-- Thomas A. Edison
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